How to create symbolic link

I updated my Elgg from 1.12.x to 2.2.x and noted that the Advance Setting has an option as "Use symbolic link to simple cache directory (recommended)".

When I tried to enable the option, it showed me: "Due to your server configuration the symbolic link can not be established automatically. Please refer to the documentation and establish the symbolic link manually."

Can anyone refer me to the said documentation or provide me with the linux command for the same, so that I can create the symbolic link manually.